blackvolsurface.cpp

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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2007 Ferdinando Ametrano
 
 This file is part of QuantLib, a free-software/open-source library
 for financial quantitative analysts and developers - http://quantlib.org/
 
 QuantLib is free software: you can redistribute it and/or modify it
 under the terms of the QuantLib license.  You should have received a
 copy of the license along with this program; if not, please email
 <quantlib-dev@lists.sf.net>. The license is also available online at
 <http://quantlib.org/license.shtml>.
 
 This program is distributed in the hope that it will be useful, but WITHOUT
 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
 FOR A PARTICULAR PURPOSE.  See the license for more details.
*/
 
#include <ql/experimental/volatility/blackvolsurface.hpp>
#include <ql/termstructures/volatility/smilesection.hpp>
 
namespace QuantLib {
 
    BlackVolSurface::BlackVolSurface(BusinessDayConvention bdc,
                                     const DayCounter& dc)
    : BlackAtmVolCurve(bdc, dc) {}
 
    BlackVolSurface::BlackVolSurface(const Date& refDate,
                                     const Calendar& cal,
                                     BusinessDayConvention bdc,
                                     const DayCounter& dc)
    : BlackAtmVolCurve(refDate, cal, bdc, dc) {}
 
    BlackVolSurface::BlackVolSurface(Natural settlDays,
                                     const Calendar& cal,
                                     BusinessDayConvention bdc,
                                     const DayCounter& dc)
    : BlackAtmVolCurve(settlDays, cal, bdc, dc) {}
 
    Real BlackVolSurface::atmVarianceImpl(Time t) const {
        const ext::shared_ptr<SmileSection>& s = smileSectionImpl(t);
        return s->variance(s->atmLevel());
    }
 
    Volatility BlackVolSurface::atmVolImpl(Time t) const {
        const ext::shared_ptr<SmileSection>& s = smileSectionImpl(t);
        return s->volatility(s->atmLevel());
    }
 
    void BlackVolSurface::accept(AcyclicVisitor& v) {
        auto* v1 = dynamic_cast<Visitor<BlackVolSurface>*>(&v);
        if (v1 != nullptr)
            v1->visit(*this);
        else
            QL_FAIL("not a BlackVolSurface term structure visitor");
    }
 
}